Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0879
Annualized Std Dev 0.2084
Annualized Sharpe (Rf=0%) 0.4220

Row

Daily Return Statistics

Close
Observations 3694.0000
NAs 1.0000
Minimum -0.1196
Quartile 1 -0.0043
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0061
Maximum 0.1353
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0131
Skewness -0.2162
Kurtosis 15.6086

Downside Risk

Close
Semi Deviation 0.0096
Gain Deviation 0.0096
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.5412
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0323
Modified VaR (95%) -0.0178
Modified ES (95%) -0.0178
From Trough To Depth Length To Trough Recovery
2007-07-16 2008-11-20 2011-05-02 -0.5412 956 344 612
2020-02-20 2020-03-23 2020-08-17 -0.3193 125 23 102
2011-05-03 2011-10-03 2013-01-04 -0.2494 420 107 313
2018-09-24 2018-12-24 2019-04-23 -0.1903 145 64 81
2015-03-03 2015-08-25 2016-04-01 -0.1165 274 123 151

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA -0.9 0.8 0 -0.5 -0.8 -0.5 -1.9
2007 1 -0.4 -0.2 0 0.5 0 1 1.4 1.4 -2 0.2 -0.5 2.5
2008 2.5 -3.1 2.7 1.9 0 -0.8 -1.1 -1.6 0 1.3 -10.1 1.2 -7.5
2009 -3 -2.3 2 1.1 3 0 0.9 -1.1 -1.7 -1.5 1.4 -1.1 -2.5
2010 0.8 1.3 0.7 -1.4 -1.4 -0.3 -0.1 3.3 0.4 0 1.8 0.2 5.4
2011 1.9 -0.7 0.6 -0.3 -2.1 1.5 -1.2 -0.9 -3 -3.9 1.1 0 -6.9
2012 1.9 0.8 0 1.4 -2.8 -0.2 0.1 0.5 0.4 1.4 -0.5 0.7 3.7
2013 1.1 0.1 -0.6 -0.7 -0.1 0.5 1.3 -0.5 0.4 0.2 -0.2 0.3 1.8
2014 -0.7 0.7 0.4 -0.1 0.5 0.7 -0.4 0 -1.5 1.2 -0.4 -0.7 -0.4
2015 -1.7 -0.2 -0.6 1.3 0.4 0.9 -0.1 -2.7 -0.2 -0.5 0.5 -1 -4.1
2016 0.4 1.7 0.8 -0.5 0.3 0.4 0 0.1 0.8 -0.8 -0.6 -0.5 2.2
2017 -0.4 1.3 -0.2 0 0.6 0.2 0.5 -0.1 0.5 0 -0.4 -0.3 1.8
2018 0.2 -1.9 1.2 -0.1 1 0.3 -0.5 0.2 0.4 0.6 1 1.2 3.6
2019 0.3 0.4 1.2 -1 -1.1 0.7 -0.7 0 -1.3 0.4 -0.3 0 -1.3
2020 -1.7 -1.1 -3.9 -1.8 0 0.6 0.5 0.4 0.6 -0.2 0.8 0.7 -5.2
2021 1.1 1.7 -0.3 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-07-11  19.9 SPY    127.  0.0044  -0.0031   0.0164  -0.018    0.0449    0.283   0.0267 GLD    63.8  0.0289   0.0262
2 2006-07-12  19.7 SPY    126. -0.0107  -0.008    0.0166  -0.0201   0.031     0.258   0.0359 GLD    64.9  0.0174   0.0387
3 2006-07-13  19.4 SPY    124  -0.0163  -0.027    0.0118  -0.0379   0.0128    0.231   0.0416 GLD    65.6  0.0097   0.0401
4 2006-07-14  19.4 SPY    124. -0.0039  -0.0244   0.0002  -0.0403   0.005     0.229   0.0319 GLD    65.8  0.0046   0.0514
5 2006-07-17  19.3 SPY    123. -0.0015  -0.0277  -0.022   -0.0413   0.0041    0.234   0.043  GLD    64.0 -0.0289   0.0311
6 2006-07-18  19.2 SPY    124.  0.0051  -0.027   -0.0055  -0.0515   0.0132    0.259   0.0472 GLD    62.9 -0.0164  -0.0143
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart